Ecological and Coevolutionary Dynamics in Modern Markets Yield Nonstationarity in Market Efficiencies

Figure 6

Though displays quasi-stationary spectral behavior, it also displays significant heterogeneity across trading symbols, as shown in (a) and regular seasonal spikes, as displayed in (b). For each trading symbol, we located the 10 days with the highest values and incremented a counter associated with each, displayed as in (b) Of the top 10 of these days, seven are directly adjacent to a major holiday: Christmas (24–12), Thanksgiving (25–11, 27–11, 28–11, 29–11), and the anniversary of the U.S.’s founding (02–07, 03–07).

(a)

(b)